Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0052 |
| Annualized Std Dev | 0.2533 |
| Annualized Sharpe (Rf=0%) | -0.0205 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3233.0000 |
| NAs | 1.0000 |
| Minimum | -0.1463 |
| Quartile 1 | -0.0056 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1266 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0160 |
| Skewness | -0.5207 |
| Kurtosis | 11.9595 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0117 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.6964 |
| Historical VaR (95%) | -0.0220 |
| Historical ES (95%) | -0.0407 |
| Modified VaR (95%) | -0.0246 |
| Modified ES (95%) | -0.0476 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-19 | 2009-03-09 | 2015-01-26 | -0.6964 | 1682 | 201 | 1481 |
| 2020-02-18 | 2020-03-23 | NA | -0.4378 | 276 | 25 | NA |
| 2016-08-01 | 2018-12-24 | 2019-10-15 | -0.1822 | 808 | 605 | 203 |
| 2015-01-27 | 2016-02-11 | 2016-07-22 | -0.1803 | 376 | 264 | 112 |
| 2019-10-24 | 2019-12-23 | 2020-02-14 | -0.0524 | 78 | 42 | 36 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | 0.5 | -1.5 | -0.3 | 0.3 | 0.8 | 7 | -11.1 | 3.1 | -2.1 |
| 2009 | -4.8 | -0.9 | -0.9 | -1.9 | 3.9 | 0.5 | 1.3 | -4 | -3.7 | -1.8 | 2.4 | -0.2 | -9.9 |
| 2010 | 1.7 | 1.1 | 1 | -2.2 | -1.6 | 0.4 | 0.3 | 3.6 | 1.2 | 0.4 | 1.8 | 0.2 | 8.1 |
| 2011 | 1 | -2 | 0.3 | 0 | -2.2 | 1.4 | -0.9 | -1 | -2.2 | -3.3 | -1.3 | 0 | -9.8 |
| 2012 | 1.2 | 0.8 | 1 | 1 | -2.3 | 2.7 | 0 | 0.6 | -0.2 | 0.8 | 0.4 | 1.2 | 7.3 |
| 2013 | 0.6 | 0.6 | -0.6 | -0.5 | -1.5 | -0.4 | 0.4 | -0.6 | 1 | 0.2 | -0.5 | 0.2 | -1 |
| 2014 | -0.3 | 0.5 | 0.4 | 0.5 | 0.5 | 0.4 | -0.3 | 0.2 | -0.5 | 1.6 | 0.1 | -1.2 | 2 |
| 2015 | -1.9 | 0.2 | 0.2 | 0.5 | 0.8 | 1 | 0.6 | -2.3 | 0.4 | -0.7 | 1.5 | -0.9 | -0.6 |
| 2016 | 0.4 | 3.1 | -0.4 | -0.7 | 0 | 0 | -0.1 | 0.2 | 0 | -1.6 | -1.5 | 1.2 | 0.6 |
| 2017 | -0.8 | -0.2 | 0.5 | 0.6 | 0.6 | -0.3 | 0.5 | 0.2 | 0.4 | 0.2 | 0.1 | 0 | 1.9 |
| 2018 | -1.7 | 0 | 0.2 | 0.6 | 0.2 | 0.4 | 0.2 | 0.1 | -0.5 | 0.6 | 0.3 | 0.2 | 0.7 |
| 2019 | -0.4 | -0.2 | 0.3 | 0.3 | 0.3 | 0.1 | -0.8 | 0.3 | -0.7 | 0.2 | -0.4 | 0.5 | -0.5 |
| 2020 | -1.1 | -2.4 | -5.3 | -3.4 | 2.1 | 1.8 | -0.4 | -0.1 | 1.9 | -0.2 | 1.6 | 0.5 | -5.2 |
| 2021 | 1.2 | 0.7 | -1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
